| 具有跳跃特征的资产价格过程的期权定价模型研究 |
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| 引用本文： | 陈金龙. 具有跳跃特征的资产价格过程的期权定价模型研究[J]. 运筹与管理, 2004, 13(5): 121-126 |
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| 作者姓名： | 陈金龙 |
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| 作者单位： | 华侨大学,经济管理学院,福建,泉州,362011 |
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| 基金项目： | 国务院侨办社会科学基金资助项目(02QSK05) |
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| 摘 要： | 资产价格具有跳跃特征时，衍生于该资产的期权就不能利用传统的Black-Schoels公式进行定价。本主要研究基于Poisson过程和固定跳跃Merton模型的期权定价与风险对冲问题，利用e-套利定价法，得到期权的风险对冲策略所满足的偏微分方程和近似期权定价。
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| 关 键 词： | 金融学 期权定价模型 e-套利 Merton模型 Poisson过程 |
| 文章编号： | 1007-3221(2004)05-0121-06 |
| 修稿时间： | 2003-12-22 |
A Study on Option Pricing Model on the Assets Pricing Process with Jump |
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| CHEN Jin-long. A Study on Option Pricing Model on the Assets Pricing Process with Jump[J]. Operations Research and Management Science, 2004, 13(5): 121-126 |
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| Authors: | CHEN Jin-long |
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| Abstract: | It is impossible to use the traditional Black-Schoeles equation to price the option derived from assets that the price process contains jumps. This paper explores the issues on pricing and hedging for the option on the Poisson process and Merton process with jumps of deterministic magnitude. By the ways of e-arbitrage, the partial differential equations to decide the hedging strategy for the option are obtained, and an approximation value is gained by the principle of no-arbitrage. |
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| Keywords: | finance pricing model of option e-arbitrage Merton model Poisson process |
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